Testing for a unit root in a random coefficient panel data model

A-Tier
Journal: Journal of Econometrics
Year: 2012
Volume: 167
Issue: 1
Pages: 254-273

Authors (2)

Westerlund, Joakim (Lunds Universitet) Larsson, Rolf (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test statistics are derived and simulation results are provided to suggest that they perform very well in small samples.

Technical Details

RePEc Handle
repec:eee:econom:v:167:y:2012:i:1:p:254-273
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29